Detecting Jump Activities on Ultra-High Frequency VIX: Pricing VIX Futures and Market Timing Hedge Funds

• Main Authors: GOH, Choo Yong, Jeremy, LIN, Yueh-Neng
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2012
• Subjects: Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3332
• Institution: Singapore Management University

The study indicates that Brownian motion, finite and infinite activity jumps are present in the ultra-high frequency VIX data, especially when taking into account the impact of market microstructure noise on various statistics. The total quadratic variation can be split into a continuous component o...